The comovement of credit default swap bond and stock markets
This Paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa.
Third, the CDS market is significantly more sensitive to the stock market than the bond market and the magnitude of this sensitivity increases when credit quality becomes worse.
Finally, the CDS market plays a more important role for price discovery than the corporate bond market. Credit risk, credit spreads, credit derivatives, lead-lag relationship.
Weber, Martin and Norden, Lars, The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis October CEPR Discussion Paper No. CEPR Discussion Paper Series.
The Comovement of credit default swap, bond and stock markets : an empirical analysis - MADOC
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The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis by Martin Weber, Lars Norden :: SSRN
Using the URL or DOI link below will ensure access to ek tha tiger make money page indefinitely. Martin Weber University of Mannheim - Department of Banking and Finance Lars Norden Brazilian School of Public and Business Administration Earn money cpu cyclesGetulio Vargas Foundation FGV.
Abstract This Paper analyzes the empirical relationship between credit default swap, bond and stock markets during the the comovement of credit default swap bond and stock markets Related eJournals CEPR Discussion Paper Series Follow.
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Recommended Papers Explaining the Rate Spread on Corporate Bonds By Edwin EltonMartin GruberThe Determinants of Credit Spread Changes By Pierre Collin-dufresneJ. By Jing-zhi Huang and Ming Huang How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?
By Jing-zhi Huang and Ming Huang Corporate Yield Spreads: New Evidence from the Credit-Default Swap Market By Francis LongstaffSanjay MithalEquity Volatility and Corporate Bond Yields By John Campbell and Glen Taksler Equity Volatility and Corporate Bond Yields By John Campbell and Glen Taksler Structural Models of Corporate Bond Pricing: An Empirical Analysis By Young EomJing-zhi HuangAn Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps By Roberto BlancoSimon BrennanEastern, Monday - Friday.
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The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis by Martin Weber, Lars Norden :: SSRN
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